Let θ be a center of symmetry of a symmetric distribution function F. Consider the following (a) An L-estimator based on a score function J(.). (b) An M-estimator based on a score function ψ(.). (c) A...


Let θ be a center of symmetry of a symmetric distribution function F. Consider the following


(a) An L-estimator based on a score function J(.).


(b) An M-estimator based on a score function ψ(.).


(c) A R-estimator based on a score function ϕ(.).


Which regularity conditions should distribution function F and the respective score functions satisfy in each case so that a first-order asymptotic distributional representation holds? Specify the regularity conditions under which the above estimators are (pairwise) asymptotically first-order equivalent.



May 23, 2022
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